Tobias Adrian, Yuya Sasaki, Yulong Wang
arXiv 1 Aug 2025 · Econometrics · publishedJournal of Econometrics (2026)
arXiv:2508.00263 · PDF · DOI · OpenAlex · Extracted main text
The Growth-at-Risk (GaR) framework has garnered attention in recent econometric literature, yet current approaches implicitly assume a constant Pareto exponent. We introduce novel and robust econometrics to estimate the tails of GaR based on a rigorous theoretical framework and establish validity and effectiveness. Simulations demonstrate consistent outperformance relative to existing alternatives in terms of predictive accuracy. We perform a long-term GaR analysis that provides accurate and insightful predictions, effectively capturing financial anomalies better than current methods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Adrian, Tobias and Boyarchenko, Nina and Giannone, Domenico (2019) Vulnerable growth self | 0.946 | 13 | 6 | 85% |
| 2 | Wang, Hansheng and Tsai, Chih-Ling (2009) Tail index regression | 0.941 | 6 | 3 | 83% |
| 3 | Adrian, Tobias and Brunnermeier, Markus K (2016) CoVaR self | 0.644 | 2 | 2 | 100% |
| 4 | Adrian, Tobias and Boyarchenko, Nina and Giannone, Domenico and Lian… (2022) The term structure of growth-at-risk self | 0.644 | 2 | 2 | 100% |
| 5 | Loria, Francesca and Matthes, Christian and Zhang, Donghai (2022) Inflation at risk | 0.644 | 2 | 2 | 100% |
| 6 | Ramey, Valerie A. and Zubairy, Sarah (2018) Government spending multipliers in good times and in bad: evidence from US historical data | 0.644 | 2 | 2 | 100% |
| 7 | Wang, Huixia Judy and Li, Deyuan (2013) Estimation of extreme conditional quantiles through power transformation | 0.644 | 2 | 2 | 100% |
| 8 | de Haan, Laurens and Ferreira, Ana (2006) Extreme Value Theory: An Introduction | 0.511 | 2 | 2 | 50% |
| 9 | Gächter, Martin and Hasler, Elias and Huber, Florian (2025) A tale of two tails: 130 years of growth at risk | 0.405 | 1 | 1 | 100% |
| 10 | Arcones, Miguel Angel and Yu, Bin (1994) Central limit theorems for empirical and U-processes of stationary mixing sequences | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 19 scored citations.